RT Journal Article
SR Electronic
T1 What’s in the News? <em>Using News Sentiment Momentum for Tactical Asset Allocation</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 100
OP 112
DO 10.3905/jpm.2015.41.2.100
VO 41
IS 2
A1 Matthias W. Uhl
A1 Mads Pedersen
A1 Oliver Malitius
YR 2015
UL https://pm-research.com/content/41/2/100.abstract
AB News and news sentiment often influence financial markets and asset prices. Investors commonly recognize this, but only a few studies have used news sentiment in news to predict future financial market developments and to formulate alpha-generating strategies, let alone create a best-practice approach for tactical asset allocation. In order to fill this gap, the authors combine company- and macro-specific news sentiment from around 100,000 news pieces per week and use the CUSUM (cumulative sum) filter method to calculate momentum in news sentiment. With this approach, they obtain a strategy that delivers solid outperformance with an information ratio of 0.8, while switching as few as eight times per year (on average), making it practicable for both tactical asset allocators and investors in general.TOPICS: Financial crises and financial market history, exchanges/markets/clearinghouses, in markets